信用风险的成因解构、定量测算与防控机制.docxVIP

信用风险的成因解构、定量测算与防控 机制 尹程张秀民王希马健 中国银监会山东监管局 中国银监会潍坊监管分局 摘要： 信用风险影响因素复杂，在当前背景下，对各类因素进行解构并定量测算其影 响程度对于有针对性地加强信用风险防控具有重要的现实意义。本文从对信用风 险影响因素的全口径解构着手，运用数理建模与调查问卷相结合的研究方法， 客观分析和评估了各因素在整体信用风险演变中的贡献度及交互作用。木文研究 发现，近年来，辖区银行业信用风险影响因素逐年增多且错综交织，经济运行、 企业经营、授信管理和诱发传导“四维”因素均对信用风险有着较为显著的负向 影响;同时，信用风险因素在不同行业间表现出较为明显的结构性差异。基于此, 本文从逆周期式调节、调整激励机制、银企良性互动、银行夯实内控、诚信法治 建设及回归职能定位六个方面，提出了建立、健全信用风险防控机制的政策建 议。 关键词： 信用风险;结构方程;风险防控;定量测算; 作者简介：张秀民 联系方式:yonghumingzxm@163. com Credit Risk: Deconstruetion, Quantita/tive Measurement and the Prevention and Control Mechanism YIN Cheng ZHANG Xiumin WANG Xi MA Jian Abstract： The factors influencing credit risk are complicated. Under current circumstance, it has real is tic sig nif ica nee for streng thening the credit risk prevention and control to deconstruct the influencing factors and measure their quantitative effects on credit risk. From the perspective of a thorough decons true tion of the credit risk, this paper subjec ti vely estimates the con trib utions and in teractions of infl uenc ing fac tors with mathematieal modeling and questionnaire surveys. This paper finds that the factors of cred it risk affecting the banks in our jurisdiction are increasing and complicating. The four factors including economics condition, business operation, credit management and induced conduction al 1 have significant negative effects on credit risk. And the effects of those factors have signifiednt struetural differcncos on different industries. Finally, this paper proposes suggestions on building a comprehensive credit risk prevention and control mechanism from six perspectives, which ineludes counter cyclical regulation, incentive mechanism, and benign bank~firm interaction, better internal controls of banks, and legal construetion on integrity. Keyword： Credit Risk; Structural Equation; Risk Prevention and Control; Quantitative Measurement; 一、引言 信用风险是银行业最基本、最主要的风险，其核心是客户履约意愿和能力的趋劣 化，具有明显的顺周期特征。近年来，我国经济发展跨入新常态，增长速度由高 速转变为中高速，经济下行给银行业的经营发展造成了巨大冲击，同时，银行 业金融机构粗放的授信管